Comparison of risks based on the expected proportional shortfall

In this paper, we consider a new criterion to compare risks based on the notion of expected proportional shortfall. This criterion is useful for comparing risks of different nature and does not depend on the base currency. We study its relationships with other criteria and provide some characterizations that highlight the role of this new criterion in the context of comparisons of risks.

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Year of publication:	2012
Authors:	Belzunce, Félix ; Pinar, José F. ; Ruiz, José M. ; Sordo, Miguel A.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 2, p. 292-302
Publisher:	Elsevier
Subject:	Risk measures \| Comparison of risks \| Expected shortfall

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Type of publication:	Article
Classification:	G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594507